Dynamic Persistence of Primary Commodity Prices
利用1900-2008年的Grilli Yang指数，通过自助法估计商品价格冲击的持续性及半衰期，发现不同商品和时期的价格冲击持续性差异很大，提醒政策制定者谨慎应对。
This article examines the persistence of shocks to international commodity prices from 1900 to 2008 using the updated Grilli Yang Index. The main innovation of this study is that it determines whether commodity prices are characterized by multiple changes in persistence. Specifically, bootstrap methods are used to estimate persistence, and the associated half‐life shocks are calculated. We find that the persistence of shocks can vary widely depending on the individual commodity and the time period. The results suggest that policy‐makers need to exercise caution when introducing measures to cushion the effect of shocks to world commodity prices.